We develop a general equilibrium model of wealth transfers in the presence of uncertain lifetimes and default. Without introducing exogenous debt constraints, agents are allowed to make collateral-backed promises at any state of their life span.

In this note we show that the fixed points of a continuous function (or of an upper semi-continuous correspondence, with non-empty and convex values) can be attained as Nash Equilibria of a game with finitely many players.

We propose a specification of a general equilibrium model with securitization of collateral-backed promises and discuss the role of physical collateral to avoid, in equilibrium, pessimistic beliefs about the future rates of default. Promises are pooled in either pass-through securities or...